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Policy change and learning in the RBC model

Mitra, Kaushik; Evans, George W.; Honkapohja, Seppo - In: Journal of Economic Dynamics and Control 37 (2013) 10, pp. 1947-1971

What is the impact of surprise and anticipated policy changes when agents form expectations using adaptive learning … rather than rational expectations? We examine this issue using the standard stochastic real business cycle model with lump … oscillations not present under rational expectations. These fluctuations reflect periods of excessive optimism or pessimism …

Persistent link: https://www.econbiz.de/10010682463

Government debt, learning and the term structure

Sinha, Arunima - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 268-289

inflation expectations. These effects of changes in holdings of debt on the yield curve can be derived in a general equilibrium … a rise in their net wealth. Imposing rational expectations on the agents eliminates this channel, and changes in …

Persistent link: https://www.econbiz.de/10011209196

Living in an imaginary world that looks real

Dudek, Maciej K. - In: Journal of Economic Dynamics and Control 41 (2014) C, pp. 209-223

outcome if rational economic agents whose expectations are anchored on endogenous variables expect them to arise. Finally, we …

Persistent link: https://www.econbiz.de/10010779387

Anticipation, learning and welfare: the case of distortionary taxation

Gasteiger, Emanuel; Zhang, Shoujian - In: Journal of Economic Dynamics and Control 39 (2014) C, pp. 113-126

-horizon expectations using adaptive learning. We extend the existing framework by introducing distortionary taxes as well as elastic labor …

Persistent link: https://www.econbiz.de/10010744180

Strategy switching in the Japanese stock market

Yamamoto, Ryuichi; Hirata, Hideaki - In: Journal of Economic Dynamics and Control 37 (2013) 10, pp. 2010-2022

This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the...

Persistent link: https://www.econbiz.de/10010871017

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 95-120

We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

Persistent link: https://www.econbiz.de/10011077522

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 349-373

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

Persistent link: https://www.econbiz.de/10011077524

Learning from experience in the stock market

Nakov, Anton; Nuño, Galo - In: Journal of Economic Dynamics and Control 52 (2015) C, pp. 224-239

expectations equilibrium. Conditional on the historical path of dividends, the model produces a price–dividend ratio which is in …

Persistent link: https://www.econbiz.de/10011209206

Asset price dynamics with heterogeneous beliefs and local network interactions

Panchenko, Valentyn; Gerasymchuk, Sergiy; Pavlov, Oleg V. - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2623-2642

In this paper we investigate the effects of network topologies on asset price dynamics. We introduce network communications into a simple asset pricing model with heterogeneous beliefs. The agents may switch between several belief types according to their performance. The performance information...

Persistent link: https://www.econbiz.de/10010871048

How do experienced traders respond to inflows of inexperienced traders? An experimental analysis

Akiyama, Eizo; Hanaki, Nobuyuki; Ishikawa, Ryuichiro - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 1-18

We conducted asset market experiments where one experienced subject interacts with five inexperienced subjects to investigate how experienced subjects change their price forecasts and trading behavior when faced with strategic uncertainty caused by inflows of inexperienced subjects. Only half...

Persistent link: https://www.econbiz.de/10010906767